Prince Harry's Night Out in Las Vegas

Where in the world can Prince Harry go for a wild night of partying and go virtually unnoticed?

Las Vegas, apparently.

On his very first visit to Sin City, the prince, 27 (who's in the States for military training) appeared to be just another reveler at Wynn Las Vegas's Tryst Nightclub early Saturday morning – at least for an hour or two.

Harry arrived around midnight and quickly took up quarters at a VIP table away from the club's main dance floor, PEOPLE has learned exclusively. Donning a collared blue flannel shirt and light jeans, Harry went largely unnoticed as he bounced around the indoor-outdoor club, which features a massive outdoor waterfall.

But the night was not without focus. Harry appeared to be honed in on one fellow clubgoer in particular: a blonde woman dressed in a cream blouse and knee-high black skirt. The prince was seen chatting her up on a red couch and he later danced seductively with her, with his hands around her waist and zero daylight visible between their bodies.

The fun-loving prince even jumped on the lap of a member of his security team as his group of nine – four men, three women and two security guards – laughed, and fell to the ground in hysteria. Keeping the humorous tone, Harry even got on his knees as he danced for a brunette girl at his VIP table later in the evening.

Though Harry was tucked away in a corner table, word eventually spread that he was in the club, prompting a slew of women to approach his VIP area. They were all turned away as security told gawkers it was a "private party," though many were able to see the British royal sipping Grey Goose and tonic cocktails.

The intimate party wound down at 3 a.m. with the group of nine leaving the club out of a side door, with Harry quickly retreating to his room at Wynn Las Vegas.

The Vegas visit comes as Prince Harry, or Captain Wales as he is called in the British Army Air Corps, nears the end of his two-month military training in the Western United States.

Harry has been at Gila Bend Air Force Auxiliary Field in Arizona for intense, live fire training. While his United Stated visit has been largely tame, he has been spotted out in Arizona, as well as in the San Diego area, near where he trained last month.